Pre_processing

library(quantmod)

start_date = as.Date('01/01/10', "%m/%d/%y")
end_date = as.Date('01/31/18', "%m/%d/%y")

XLE

#Data Acquisition 
getSymbols(Symbols = 'XLE', from = start_date, to = end_date)

## [1] "XLE"

#Visualization
barChart(XLE[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLE, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLE_return = Delt(x1 = XLE[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLE_vol_rolling = rollapply(data = XLE_return, 10, sd)
plot(XLE_vol_rolling, main = 'XLE 10-DAY ROLLING VOLATILITY')

XLU

#Data Acquisition 
getSymbols(Symbols = 'XLU', from = start_date, to = end_date)

## [1] "XLU"

#Visualization
barChart(XLU[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLU, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLU_return = Delt(x1 = XLU[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLU_vol_rolling = rollapply(data = XLU_return, 10, sd)
plot(XLU_vol_rolling, main = 'XLU 10-DAY ROLLING VOLATILITY')

XLK

#Data Acquisition
getSymbols(Symbols = 'XLK', from = start_date, to = end_date)

## [1] "XLK"

#Visualization
barChart(XLK[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLK, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLK_return = Delt(x1 = XLK[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLK_vol_rolling = rollapply(data = XLK_return, 10, sd)
plot(XLK_vol_rolling, main = 'XLK 10-DAY ROLLING VOLATILITY')

XLB

#Data Acquisition
getSymbols(Symbols = 'XLB', from = start_date, to = end_date)

## [1] "XLB"

#Visualization
barChart(XLB[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLB, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLB_return = Delt(x1 = XLB[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLB_vol_rolling = rollapply(data = XLB_return, 10, sd)
plot(XLB_vol_rolling, main = 'XLB 10-DAY ROLLING VOLATILITY')

XLP

#Data Acquisition
getSymbols(Symbols = 'XLP', from = start_date, to = end_date)

## [1] "XLP"

#Visualization
barChart(XLP[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLP, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLP_return = Delt(x1 = XLP[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLP_vol_rolling = rollapply(data = XLP_return, 10, sd)
plot(XLP_vol_rolling, main = 'XLP 10-DAY ROLLING VOLATILITY')

XLY

#Data Acquisition
getSymbols(Symbols = 'XLY', from = start_date, to = end_date)

## [1] "XLY"

#Visualization
barChart(XLY[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLY, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLY_return = Delt(x1 = XLY[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLY_vol_rolling = rollapply(data = XLY_return, 10, sd)
plot(XLY_vol_rolling, main = 'XLY 10-DAY ROLLING VOLATILITY')

XLI

#Data Acquisition
getSymbols(Symbols = 'XLI', from = start_date, to = end_date)

## [1] "XLI"

#Visualization
barChart(XLI[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLI, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLI_return = Delt(x1 = XLI[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLI_vol_rolling = rollapply(data = XLI_return, 10, sd)
plot(XLI_vol_rolling, main = 'XLI 10-DAY ROLLING VOLATILITY')

XLV

#Data Acquisition
getSymbols(Symbols = 'XLV', from = start_date, to = end_date)

## [1] "XLV"

#Visualization
barChart(XLV[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLV, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLV_return = Delt(x1 = XLV[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLV_vol_rolling = rollapply(data = XLV_return, 10, sd)
plot(XLV_vol_rolling, main = 'XLV 10-DAY ROLLING VOLATILITY')

XLF

#Data Acquisition
getSymbols(Symbols = 'XLF', from = start_date, to = end_date)

## [1] "XLF"

#Visualization
barChart(XLF[, c(6,5)],theme='white.mono',bar.type='hlc')

chartSeries(XLF, subset='last 3 months', theme = chartTheme('white'))

#Convert price into daily return
XLF_return = Delt(x1 = XLF[, 6,], k = 1, type = 'arithmetic')
#Calculate return volatility w/ 10-day rolling window
XLF_vol_rolling = rollapply(data = XLF_return, 10, sd)
plot(XLF_vol_rolling, main = 'XLF 10-DAY ROLLING VOLATILITY')

XLRE

# #Data Acquisition
# getSymbols(Symbols = 'XLRE', from = start_date, to = end_date)
# #Visualization
# barChart(XLRE[, c(6,5)],theme='white.mono',bar.type='hlc')
# chartSeries(XLRE, subset='last 3 months', theme = chartTheme('white'))